Which Closing Price?

When back-testing futures trading systems we have to make a choice regarding the historical price series. This issue came up for me recently while building a portfolio variance limiter in Trading Blox Builder (TBB). Put aside the issue of whether this is a wise thing...
GI => GO (III)  Data Validation

GI => GO (III) Data Validation

Even the best commercially available data contains errors. You must have a data validation protocol to help you find and remove them. Remeber your analysis is only as good as your data!